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v3.25.1

SECURITIES (Tables) | 3 Months Ended
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Mar. 31, 2025
Investments, Debt and Equity Securities [Abstract] |
Rollforward of Company's Securities | The following table represents a rollforward of the activity for the Company’s securities for the three months ended March 31, 2025:
| Agency Securities |  | Residential Credit Securities |  | Commercial Securities |  | Total
| (dollars in thousands)
Beginning balance January 1, 2025 | $ | 67,434,068 |  |  | $ | 2,248,101 |  |  | $ | 74,278 |  |  | $ | 69,756,447 |
Purchases | 6,263,002 |  |  | 101,318 |  |  | — |  |  | 6,364,320 |
Sales | (4,967,149) |  |  | (214,381) |  |  | (12,886) |  |  | (5,194,416) |
Principal paydowns | (1,516,963) |  |  | (152,573) |  |  | (2,283) |  |  | (1,671,819) |
(Amortization) / accretion | (56,057) |  |  | (1,356) |  |  | (17) |  |  | (57,430) |
Fair value adjustment | 1,172,819 |  |  | (8,526) |  |  | (31) |  |  | 1,164,262 |
Ending balance March 31, 2025 | $ | 68,329,720 |  |  | $ | 1,972,583 |  |  | $ | 59,061 |  |  | $ | 70,361,364 |
Schedule of Available-for-sale Securities Reconciliation | The following tables present the Company’s securities portfolio that were carried at their fair value at March 31, 2025 and December 31, 2024:
| March 31, 2025
| Principal / Notional |  | Remaining Premium |  | Remaining Discount |  | Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Estimated Fair Value
Agency | (dollars in thousands)
Fixed-rate pass-through | $ | 64,549,014 |  |  | $ | 1,258,704 |  |  | $ | (1,191,086) |  |  | $ | 64,616,632 |  |  | $ | 356,094 |  |  | $ | (1,418,833) |  |  | $ | 63,553,893 |
Adjustable-rate pass-through | 137,157 |  |  | 8,972 |  |  | (40) |  |  | 146,089 |  |  | 1,949 |  |  | (6,641) |  |  | 141,397 |
CMO | 85,886 |  |  | 1,418 |  |  | — |  |  | 87,304 |  |  | — |  |  | (13,496) |  |  | 73,808 |
Interest-only | 3,757,295 |  |  | 545,553 |  |  | — |  |  | 545,553 |  |  | 29,256 |  |  | (105,328) |  |  | 469,481 |
Multifamily(1) | 29,947,936 |  |  | 544,756 |  |  | (8,058) |  |  | 4,085,912 |  |  | 29,207 |  |  | (49,245) |  |  | 4,065,874 |
Reverse mortgages | 24,234 |  |  | 2,279 |  |  | — |  |  | 26,513 |  |  | — |  |  | (1,246) |  |  | 25,267 |
Total agency securities | $ | 98,501,522 |  |  | $ | 2,361,682 |  |  | $ | (1,199,184) |  |  | $ | 69,508,003 |  |  | $ | 416,506 |  |  | $ | (1,594,789) |  |  | $ | 68,329,720 |
Residential credit |  |  |  |  |  |  |  |  |  |  |  |  |
Credit risk transfer | $ | 492,296 |  |  | $ | 1,493 |  |  | $ | (3,385) |  |  | $ | 490,404 |  |  | $ | 30,751 |  |  | $ | (96) |  |  | $ | 521,059 |
Alt-A | 204,309 |  |  | 34 |  |  | (2,062) |  |  | 202,281 |  |  | 2,969 |  |  | (7,696) |  |  | 197,554 |
Prime (2) | 1,867,436 |  |  | 28,175 |  |  | (10,084) |  |  | 44,362 |  |  | 3,035 |  |  | (700) |  |  | 46,697 |
Subprime | 247,047 |  |  | 12 |  |  | (29,638) |  |  | 217,421 |  |  | 7,488 |  |  | (8,207) |  |  | 216,702 |
NPL/RPL | 832,022 |  |  | 4,304 |  |  | (4,691) |  |  | 831,635 |  |  | 2,266 |  |  | (3,626) |  |  | 830,275 |
Prime jumbo (>=2010 vintage) (3) | 10,692,985 |  |  | 85,262 |  |  | (30,144) |  |  | 146,838 |  |  | 17,726 |  |  | (4,268) |  |  | 160,296 |
Total residential credit securities | $ | 14,336,095 |  |  | $ | 119,280 |  |  | $ | (80,004) |  |  | $ | 1,932,941 |  |  | $ | 64,235 |  |  | $ | (24,593) |  |  | $ | 1,972,583 |
Total residential securities | $ | 112,837,617 |  |  | $ | 2,480,962 |  |  | $ | (1,279,188) |  |  | $ | 71,440,944 |  |  | $ | 480,741 |  |  | $ | (1,619,382) |  |  | $ | 70,302,303 |
Commercial |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial securities | $ | 59,015 |  |  | $ | 144 |  |  | $ | — |  |  | $ | 59,159 |  |  | $ | — |  |  | $ | (98) |  |  | $ | 59,061 |
Total securities | $ | 112,896,632 |  |  | $ | 2,481,106 |  |  | $ | (1,279,188) |  |  | $ | 71,500,103 |  |  | $ | 480,741 |  |  | $ | (1,619,480) |  |  | $ | 70,361,364 |
| December 31, 2024
| Principal / Notional |  | Remaining Premium |  | Remaining Discount |  | Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Estimated Fair Value
Agency | (dollars in thousands)
Fixed-rate pass-through | $ | 65,010,762 |  |  | $ | 1,329,117 |  |  | $ | (1,178,444) |  |  | $ | 65,161,435 |  |  | $ | 130,742 |  |  | $ | (2,242,503) |  |  | $ | 63,049,674 |
Adjustable-rate pass-through | 157,123 |  |  | 11,936 |  |  | (42) |  |  | 169,017 |  |  | 2,216 |  |  | (8,995) |  |  | 162,238 |
CMO | 87,467 |  |  | 1,459 |  |  | — |  |  | 88,926 |  |  | — |  |  | (15,242) |  |  | 73,684 |
Interest-only | 3,437,570 |  |  | 493,803 |  |  | — |  |  | 493,803 |  |  | 14,843 |  |  | (127,914) |  |  | 380,732 |
Multifamily (1) | 26,216,351 |  |  | 514,726 |  |  | (11,830) |  |  | 3,844,575 |  |  | 7,644 |  |  | (110,454) |  |  | 3,741,765 |
Reverse mortgages | 24,916 |  |  | 2,499 |  |  | — |  |  | 27,415 |  |  | — |  |  | (1,440) |  |  | 25,975 |
Total agency investments | $ | 94,934,189 |  |  | $ | 2,353,540 |  |  | $ | (1,190,316) |  |  | $ | 69,785,171 |  |  | $ | 155,445 |  |  | $ | (2,506,548) |  |  | $ | 67,434,068 |
Residential credit |  |  |  |  |  |  |  |  |  |  |  |  |
Credit risk transfer | $ | 707,169 |  |  | $ | 1,608 |  |  | $ | (3,581) |  |  | $ | 705,196 |  |  | $ | 49,819 |  |  | $ | (100) |  |  | $ | 754,915 |
Alt-A | 172,368 |  |  | 35 |  |  | (1,724) |  |  | 170,679 |  |  | 2,694 |  |  | (8,481) |  |  | 164,892 |
Prime (2) | 1,824,609 |  |  | 27,484 |  |  | (10,228) |  |  | 43,725 |  |  | 2,732 |  |  | (667) |  |  | 45,790 |
Subprime | 280,820 |  |  | 12 |  |  | (30,081) |  |  | 250,751 |  |  | 6,325 |  |  | (11,493) |  |  | 245,583 |
NPL/RPL | 882,547 |  |  | 4,540 |  |  | (3,762) |  |  | 883,325 |  |  | 1,630 |  |  | (6,347) |  |  | 878,608 |
Prime jumbo (>=2010 vintage) (3) | 10,334,669 |  |  | 84,431 |  |  | (30,385) |  |  | 146,285 |  |  | 17,072 |  |  | (5,044) |  |  | 158,313 |
Total residential credit securities | $ | 14,202,182 |  |  | $ | 118,110 |  |  | $ | (79,761) |  |  | $ | 2,199,961 |  |  | $ | 80,272 |  |  | $ | (32,132) |  |  | $ | 2,248,101 |
Total residential securities | $ | 109,136,371 |  |  | $ | 2,471,650 |  |  | $ | (1,270,077) |  |  | $ | 71,985,132 |  |  | $ | 235,717 |  |  | $ | (2,538,680) |  |  | $ | 69,682,169 |
Commercial |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial securities | $ | 74,151 |  |  | $ | 193 |  |  | $ | — |  |  | $ | 74,344 |  |  | $ | 38 |  |  | $ | (104) |  |  | $ | 74,278 |
Total securities | $ | 109,210,522 |  |  | $ | 2,471,843 |  |  | $ | (1,270,077) |  |  | $ | 72,059,476 |  |  | $ | 235,755 |  |  | $ | (2,538,784) |  |  | $ | 69,756,447 |
(1) Principal/Notional amount includes $26.4 billion and $22.9 billion of Agency Multifamily interest-only securities as of March 31, 2025 and December 31, 2024, respectively. (2) Principal/Notional amount includes $1.8 billion and $1.8 billion of Prime interest-only securities as of March 31, 2025 and December 31, 2024, respectively. (3) Principal/Notional amount includes $10.6 billion and $10.2 billion of Prime Jumbo interest-only securities as of March 31, 2025 and December 31, 2024, respectively.
Types of Agency Mortgage Backed Securities | The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency at March 31, 2025 and December 31, 2024:
| March 31, 2025 |  | December 31, 2024
Investment Type | (dollars in thousands)
Fannie Mae | $ | 63,937,187 |  |  | $ | 63,211,517 |
Freddie Mac | 4,243,501 |  |  | 4,115,085 |
Ginnie Mae | 149,032 |  |  | 107,466 |
Total | $ | 68,329,720 |  |  | $ | 67,434,068 |
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification | The following table summarizes the Company’s Residential Securities at March 31, 2025 and December 31, 2024, according to their estimated weighted average life classifications:
| March 31, 2025 |  | December 31, 2024
| Estimated Fair Value |  | Amortized Cost |  | Estimated Fair Value |  | Amortized Cost
Estimated weighted average life | (dollars in thousands)
Less than one year | $ | 369,403 |  |  | $ | 369,373 |  |  | $ | 407,856 |  |  | $ | 408,090 |
Greater than one year through five years | 1,747,308 |  |  | 1,748,581 |  |  | 1,308,898 |  |  | 1,325,093 |
Greater than five years through ten years | 66,096,901 |  |  | 67,235,550 |  |  | 66,027,670 |  |  | 68,242,391 |
Greater than ten years | 2,088,691 |  |  | 2,087,440 |  |  | 1,937,745 |  |  | 2,009,558 |
Total | $ | 70,302,303 |  |  | $ | 71,440,944 |  |  | $ | 69,682,169 |  |  | $ | 71,985,132 |
Schedule of Unrealized Losses on Investments | The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities, accounted for as available-for-sale where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at March 31, 2025 and December 31, 2024.
| March 31, 2025 |  | December 31, 2024
| Estimated Fair Value (1) |  | Gross Unrealized Losses (1) |  | Number of Securities (1) |  | Estimated Fair Value (1) |  | Gross Unrealized Losses (1) |  | Number of Securities (1)
| (dollars in thousands)
Less than 12 months | $ | 28,285 |  |  | $ | (547) |  |  | 9 |  |  | $ | 49,820 |  |  | $ | (1,477) |  |  | 34 |
12 Months or more | 7,502,140 |  |  | (791,682) |  |  | 1,311 |  |  | 8,054,162 |  |  | (1,020,427) |  |  | 1,377 |
Total | $ | 7,530,425 |  |  | $ | (792,229) |  |  | 1,320 |  |  | $ | 8,103,982 |  |  | $ | (1,021,904) |  |  | 1,411 |
(1) Excludes interest-only mortgage-backed securities and reverse mortgages, and effective July 1, 2022, newly purchased Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities.
Schedule of Realized Gain (Loss) | The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the three months ended March 31, 2025 and 2024.
| Gross Realized Gains |  | Gross Realized Losses |  | Net Realized Gains (Losses)
For the three months ended | (dollars in thousands)
March 31, 2025 | $ | 64,880 |  |  | $ | (119,486) |  |  | $ | (54,606) |
March 31, 2024 | $ | 32,924 |  |  | $ | (471,172) |  |  | $ | (438,248) |

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